May 17, 2019 - Friday

9:15-9:30             Registration                       

9:30-9:45             Welcome Speech by Cumhur Ekinci (ITU)

9:45-10:15           Plenary Speech by Recep Bildik (Borsa Istanbul)

  “Exchanges in the Era of New Technologies”

10:15-10:45        Presentation of the Research Poject by Cumhur Ekinci (ITU)

  “Investor Types”

10:45-11:10        Plenary Talk on Experimental Finance

  Chair: Aziz Şimşir (Sabancı U)

“Beta Reliability under Thin Trading Conditions: The Accuracy of Liquidity Measures versus Thin Trading Correction Procedures” by Stefan Otto Grbenic (Technical University of Graz)

11:10-11:25        Break

11:25-12:40        Plenary Session: Information and Algorithmic Trading

  Chair: Güzhan Gülay (Borsa Istanbul)

“Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul” by Murat Tiniç (Bilkent U)

Discussant: Oğuz Ersan (Kadir Has U)

“The Speed of Stock Price Adjustment to Corporate Announcements in Emerging Markets: The Turkish Case” by Oğuz Ersan (Kadir Has U)

Discussant: Murat Tiniç (Bilkent U)

“Implementation of Algorithmic Trading Strategies with High Frequency Trading Data in the Futures Markets, Evidence From Borsa Istanbul” by Engin Kurun (Piri Reis U)

Discussant: Evrim Hilal Kahya (SPK and ITU)

12:40-14:00: Lunch Break

14:00-15:15        Plenary Session: Behavioral Biases in Asset Pricing

  Chair: Aslı Togan Eğrican (Kadir Has U)

“Price Clustering and Even Pricing in Real Estate Prices” by Neslihan Yılmaz (Boğaziçi U)

Discussant: Özgür Uysal (MKK)

“Analyst Coverage and Stock Returns: Evidence from Emerging Market” by Merve Gizem Cevheroğlu Açar (Boğaziçi U)

Discussant: Zeliha Can Ergün (Adnan Menderes U)

“Disposition Bias in Turkish Stock Markets for Different Types of Investors” by Evrim Hilal Kahya (SPK and ITU)

Discussant: Neslihan Yılmaz (Boğaziçi U)

15:15-15:30        Break

15:30-17:10        Plenary Session: Financial Econometrics

  Chair: Bülent Güloğlu (ITU)

“Analyzing emerging market returns with high-frequency data during crisis and non-crisis periods” by Abdullah Yalaman (Eskişehir Osmangazi U)

Discussant: Ege Yazgan (Bilgi U)

“When are wavelets useful forecasters?” by Ege Yazgan (Bilgi U)

Discussant: Abdullah Yalaman (Eskişehir Osmangazi U)

“Comparison of the accuracy of models in forecasting VaR and ES through time” by Şükriye Tüysüz (Yeditepe U)

Discussant: Efe Ç. Çağlı (Dokuz Eylül U)

“The Causal Linkages between Investor Sentiment and Returns on Borsa Istanbul” by Zeliha Can Ergün (Adnan Menderes U)

Discussant: Şükriye Tüysüz (Yeditepe U)

May 18, 2019 - Saturday

9:30-10:30           Plenary Session: Biases, Sentiment and Manipulation

  Chair: Cenk Karahan (Boğaziçi U)             

 “Anomalies and Investor Sentiment” by Bayram Veli Salur (KT Portfoy and ITU)

Discussant: Ali Eray Bulut (ITU)

“Does Regional Search Volume Contain Private Information?” by Ali Eray Bulut (ITU)

Discussant: Setenay Yağanoğlu (MKK)

“Liquidity and Closing Price Manipulation in Borsa İstanbul” by Müge Özdemir (Piri Reis U)

Discussant: Özge Arabacı (ITU)

10:30-10:40        Break

10:40-11:40        Plenary Session: Rules and  Rule Changes

  Chair: Oğuz Ersan (Kadir Has U)

“The Effect of Anonymity on Liquidity” by Ayşe Çağlayan Gümüş (Borsa Istanbul and Boğaziçi U)

Discussant: Hidayet Beyhan (ITU)

“Determining Option Market Efficiency through Implied-Realized Volatility Relation:  Evidence from Turkey” by Onur Olgun (Borsa Istanbul and ITU)

Discussant: Bayram Veli Salur (KT Portfoy and ITU)

“The Effect of Volatility Based Measures System on Stock Performance: Evidence from Turkey” by Sinan Ede (QNB Finansbank and ITU)

Discussant: Müge Özdemir (Piri Reis U)

11:40-11:50        Break

11:50-13:10        Plenary Session: Transactions, Location and Anomalies  

  Chair: Zeynep Güloğlu (Borsa Istanbul)

“Distributed Market Model Based on Atomic Cross Chain Swap” by Hüseyin Ergün (Finartz and Maltepe U)

Discussant: Onur Olgun (Borsa Istanbul and ITU)

“Causality between BIST 34 and BIST 100 Indices and Investor Portfolio Values” by Setenay Yağanoğlu (MKK)

Discussant: Sinan Ede (QNB Finansbank and ITU)

“What Determines the Choice between Spot and Futures?” by Hidayet Beyhan (ITU)

Discussant: Ayşe Çağlayan Gümüş (Borsa Istanbul and Boğaziçi U)

“Calendar Anomalies in BIST30 Index” by Özge Arabacı (ITU)

Discussant: Hüseyin Ergün (Finartz and Maltepe U)